In this paper we present a system for the state estimation of a dynamically walking and trotting quadruped. The approach fuses four heterogeneous sensor sources (inertial, kinematic, stereo vision and LIDAR) to maintain an accurate and consistent estimate of the robot’s base link velocity and position in the presence of disturbances such as slips and missteps. We demonstrate the performance of our system, which is robust to changes in the structure and lighting of the environment, as well as the terrain over which the robot crosses. Our approach builds upon a modular inertial-driven Extended Kalman Filter which incorporates a rugged, probabilistic leg odometry component with additional inputs from stereo visual odometry and LIDAR registration. The simultaneous use of both stereo vision and LIDAR helps combat operational issues which occur in real applications. To the best of our knowledge, this paper is the first to discuss the complexity of consistent estimation of pose and velocity states, as well as the fusion of multiple exteroceptive signal sources at largely different frequencies and latencies, in a manner which is acceptable for a quadruped’s feedback controller. A substantial experimental evaluation demonstrates the robustness and accuracy of our system, achieving continuously accurate localization and drift per distance traveled below 1 cm/m.